Obstacle problem for SPDE with nonlinear Neumann boundary condition via reflected generalized backward doubly SDEs

DOI10.1016/j.spl.2012.11.004zbMath1267.60070arXiv0810.0436OpenAlexW2953222667MaRDI QIDQ1950719

Auguste Aman, Naoul Mrhardy

Publication date: 13 May 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.0436

zbMATH Keywords

obstacle problemstochastic PDEsstochastic viscosity solutionsbackward doubly SDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic integral equations (60H20)

Related Items (7)

Multivalued stochastic partial differential-integral equations via backward doubly stochastic differential equations driven by a Lévy process ⋮ Continuity of the Feynman–Kac formula for a generalized parabolic equation ⋮ Probabilistic interpretation for solutions of fully nonlinear stochastic pdes ⋮ Penalization method for reflected BDSDEs with two-sided jumps and driven by Lévy process ⋮ On the continuity of the probabilistic representation of a semilinear Neumann-Dirichlet problem ⋮ Reflected backward stochastic differential equations with time-delayed generators ⋮ Reflected solutions of generalized anticipated backward double stochastic differential equations

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